dselivanov / convbondLinks
convertible bond pricing
☆13Updated 10 years ago
Alternatives and similar repositories for convbond
Users that are interested in convbond are comparing it to the libraries listed below
Sorting:
- ☆17Updated 7 years ago
- Predicting a Stock Price Using a Genetic Algorithm☆16Updated 7 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- ☆22Updated 7 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 4 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆22Updated 7 years ago
- ☆16Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- A Python system to generate Volume Weighted Average Pricing (VWAP) Model based Long/Short Trading Signal☆17Updated 8 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆28Updated 5 years ago
- This repository contains an automated trading system using machine learning for stock return prediction, position sizing and generating e…☆14Updated 6 years ago
- ☆24Updated 6 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 6 years ago
- Futures trading database/backtester/analysis☆19Updated 6 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 4 years ago
- ☆12Updated last year
- finance☆43Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- Optimize portfolio allocation under transaction costs☆9Updated 4 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- Backtesting a simple Buy Low Sell High Strategy☆9Updated 3 years ago
- Option Strategy for Futures☆14Updated 4 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago